Most likely it is a shell archive containing a certain amount of encoded binary data. I've seen some of these installers to launch an install wizard, often based on java. If this is the case, there is a chance it looks for a Java Virtual Machine that is not available on your system.
If the problem is actually running the shell script, either add permission for execution - as alreay suggested - or launch it as
Code:
/bin/sh install_HE-Diabetes.sh
and copy/paste the error message (if any) embedding it in code tags.